Numerical solution of SDE through computer experiments. Including floppy disk (Q1313407): Difference between revisions

Stochastic differential equations (SDE's) model many phenomena arising in the real world more accurately than deterministic differential equations. However, the price paid for this greater accuracy is a much greater difficulty in solving such equations. In the past fifteen years, much progress has been made in developing numerical methods for approximating the solutions of SDE's. Two years ago, the first and the second author published ``Numerical solution of stochastic differential equations'' (1992; Zbl 0752.60043) which detailed most of the important numerical methods for SDE's. In this new book, they are joined by H. Schurz in writing a text which is designed to make numerical methods for SDE's accessible to potential users who may not have the time or interest to master the theoretical underpinnings of the methods. To facilitate this, the text omits most of the theory and instead provides many exercises and associated computer programs intended to enable the reader to obtain a practical understanding of the methods by using them. Included with the text is a floppy disk containing TURBO PASCAL programs for the text's exercises which can be run on a personal computer with a numerics processor. In Chapter 1, the text presents some essential ideas from probability and statistics with special emphasis on simulation of stochastic processes. In Chapter 2, a brief discussion of stochastic integration, SDE's, and stochastic Taylor series is given. In Chapter 3, the Euler methods for solving SDE's are introduced and used in presenting basic concepts on error, pathwise approximation, approximation of moments, and stability problems associated with stiff SDE's. Chapters 4 and 5 present higher order strong and weak methods, exercises illustrating and comparing the methods, and information on implementing methods on specific types of SDE's. The text concludes with Chapter 6 which discusses the use of the numerical methods in applications arising in dynamics, filtering, physics, and finance. This unique book provides a very useful practical introduction to numerical methods for SDE's.